Pricing longevity-linked derivatives using a stochastic mortality model

DOI10.1080/03610926.2018.1563171OpenAlexW2914010685MaRDI QIDQ5077955

Yige Wang, Tin Long Ho, Zhuo Jin, Nan Zhang

Publication date: 20 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1563171

zbMATH Keywords

normal inverse Gaussian distributionmortality rates2-factor MBMM modellongevity-linked derivatives

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Volterra mortality model: actuarial valuation and risk management with long-range dependence

Cites Work

• Modeling and Forecasting U.S. Mortality
• On stochastic mortality modeling
• Affine processes for dynamic mortality and actuarial valuations
• Securitization of catastrophe mortality risks
• Modeling and forecasting mortality rates
• Modelling and projecting mortality improvement rates using a cohort perspective
• Minimal entropy preserves the Lévy property: how and why
• Mortality-dependent financial risk measures
• Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

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